We propose a tractable, data-driven demand estimation procedure based on the use maximum entropy (ME) distributions, and apply it to a stochastic capacity control problem motivated from airline revenue management. Specifically, we study the two fare-class "Littlewood" problem in a setting where...

In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books operating under a “price-time” priority rule and, in turn, can be modeled as multi-class FIFO queueing systems. A market with multiple...

We model an electronic limit order book as a multi-class queueing system under fluid dynamics, and formulate and solve a problem of limit and market order placement to optimally buy a block of shares over a short, predetermined time horizon. Using the structure of the optimal execution policy,...

Deciding between the use of market orders and limit orders is an important question in practical optimal trading problems. A key ingredient in making this decision is understanding the uncertainty of the execution of a limit order, that is, the fill probability or the probability that an order...

We study a multi-server queueing model of a revenue-maximizing firm providing a service to a market of heterogeneous price- and delay-sensitive customers with private individual preferences. The firm may offer a selection of service classes that are differentiated in prices and delays. Using a...

Problem Definition: Motivated by ride-hailing platforms such as Uber, Lyft and Didi, we study the problem of matching riders with self-interested drivers over a spatial network. We focus on the performance impact of two operational platform controls---demand-side admission control and...

We study a seller that starts with an initial inventory of goods, has a target horizon over which to sell the goods, and is subject to a set of financial <i>milestone</i> constraints on the revenues and sales that need to be achieved at different time points along the sales horizon. We characterize the...